Configure nginx proxy_pass with two parallel locations

This can be done using echo_location directive (or similar, browse the directives) of the 3rd party Nginx Echo Module. You will need to compile Nginx with this module or use Openresty which is Nginx bundled with useful stuff such as this.

Outline code:

server {
    [...]

    location /main {
        echo_location /sub;
        proxy_pass http://main.server:PORT;
    }
    location /sub {
        internal;
        proxy_pass http://alt.server:PORT;
    }
}

There is also the now undocumented post_action directive which does not require a third party module:

server {
    [...]

    location /main {
        proxy_pass http://main.server:PORT;
        post_action @sub;
    }
    location @sub {
        proxy_pass http://alt.server:PORT;
    }
}

This will fire a subrequest after the main request is completed. Here is an old answer where I recommended the use of this: NGinx - Count requests for a particular URL pattern.

However, this directive has been removed from the Nginx documentation and further usage of this is now a case of caveat emptor. Four years on from 2012 when I gave that answer, I wouldn't recommend using this.

I know this is done but I'd like to answer with the new, updated answer since it's turning up in searches 3 years later. The mirror module works wonderfully. I got this from the nginx docs so I assume it's official and available.

server {
    [...]

    location /main {
        mirror /mirror
        proxy_pass http://main.server:PORT;
    }
    location /mirror {
        proxy_pass http://alt.server:PORT;
    }
}